A terminal server will NOT have IIS installed so use:
CSR Generation - Using certreq (Windows) to generate the keys.
Note: Terminal Server will not use a chain with more than one intermediate certificate so the certificate has to be issued off of the AddTrust->UTN chain.
Once installed via certreq, the certificate will be available to terminal services and need only be assigned as follows:
Under Administrative Tools, open Terminal Services Configuration. Double click RDP-TCP to configure the properties of Terminal Services using the RDP protocol. Under the general tab to the right of the word certificate, click Edit. Choose the installed certificate that you wish to associate with the Terminal Services connection over RDP.